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Models for Investors in Real World Markets. Wiley Series in Probability and
Statistics
Description:
A uniquely timely look at where modern financial economic theory has failed–and where we should go from
here
The collapse of the Scholes–Merton based Long Term Capital Management (LTCM) hedge fund should have
sounded alarms or, at least, raised questions about investment strategies based on risk–neutral
probabilities. More recently, the fallout of Enron, WorldCom, and similar fiascos must now give pause to
those who take the efficient market–based formula for "fair prices" (especially in options and derivatives) as
rigid laws.
This provocative volume provides a new, antiefficient markets approach to investment theory and
management. Questioning the assumption that markets clear neatly and quickly, Models for Investors in
Real World Markets considers neoclassical models in light of what can go wrong with them, outlines basic
institutional factors associated with how stock markets operate, and then offers ways to bring about better
(though never correct) models. Providing a stinging critique of modern financial economic theory, this timely
book:
* Introduces basic concepts of utility theory, the cornerstone of portfolio theory
* Illustrates why diversification is an important fundamental requirement of rational investment choice
* Provides a detailed procedure for analyzing securities, borrowing the concepts of Benjamin Graham and
David Dodd, and building a quantitative framework for them
* Examines the importance of compound interest and observes that stock growth may be viewed as noisy
compound interest
* Demonstrates that options are themselves stochastic, risky entities and not magical devices for the
elimination of risk
* Develops a conceptualization of risk profiling based on their development of the simugram. As opposed to
the Markowitz approach of maximizing growth subject to acceptable levels of volatility, the authors use the
simugram, their computer intensive forecast of the time–indexed density function of portfolio value.
Percentiles, rather than expectations, form the major bases for the criterion functions and constraints
utilized for portfolio management.
For anyone who has ever questioned–or should have questioned–the efficient market orthodoxy, this book
will be a valuable reference on market analysis and investment strategy.
Contents:
Preface.
Introduction and the Institutional Environment.
Some Conventional Building Blocks (With Various Reservations).
Diversification and Portfolio Selection.
Capital Market Equilibrium Theories.
Equilibrium Implying Efficiency: The Neoclassical Fantasy.
More Realistic Paradigms for Investment.
Security Analysis.
Empirical Financial Forecasting.
Stock Price Growth as Noisy Compound Interest.
Investing in Real World Markets: Returns and Risk Profiles.
Common Stock Options.
Summary, Some Unsettled (Unsettling) Questions, and Conclusions.
Appendix A: A Brief Introduction to Probability and Statistics.
Appendix B: Statistical Tables.
Index.
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